Time-dependent Heston model

G. S. Vasilev

Papers from arXiv.org

Abstract: This work presents an exact solution to the generalized Heston model, where the model parameters are assumed to have linear time dependence The solution for the model in expressed in terms of confluent hypergeometric functions.

Date: 2014-02
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1402.5679

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